NNN Options History — March 2012

In March 2012, NNN traded between $26.42 and $27.33. ATM implied volatility averaged 22.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 8.7% (HV 20d: 13.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2012-03-15: Highest Volume — 40 contracts
  • 2012-03-15: Largest IV drop — 67.0% change
  • 2012-03-13: Highest IV Rank — 78.0%
  • 2012-03-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.80$26.42$27.33$26.62$27.19
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV22.1%14.7%49.6%22.4%22.0%
Expected Move5.0%3.0%6.4%6.4%6.3%
HV 20d13.4%11.4%15.0%11.4%14.4%
HV 60d13.8%12.2%15.3%15.1%12.2%
IV Rank18.5%2.5%78.0%19.2%18.4%
IV Percentile33.8%1.2%99.2%49.2%48.8%
Term Structure4.1%-5.5%11.5%-5.5%-5.4%
VWIV18.7%18.7%18.7%18.7%18.7%
Skew 25d2.0%-5.1%7.6%7.6%3.1%
Skew 10d2.1%-5.8%20.2%6.1%3.1%
Call IV 25d17.3%14.0%23.8%18.8%18.8%
Put IV 25d19.3%13.9%26.4%26.4%21.9%
Bid-Ask Spread %105.7695.10115.74104.45104.25
Gamma HHI0.510.410.560.410.53
Net GEX-15.0K-18.9K-6.7K-6.7K-13.8K
Net DEX96.9K38.9K144.8K38.9K80.1K
Net VEX-2.1K-2.4K-1.9K-2.3K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.003.710.000.00
Total Volume7.54504000
Total OI761.864578958861604

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$26.62$25.0022.4%6.4%11.4%19.2%0.0%7.6%-5.5%-6.7K38.9K-2.3K0.00104.45N/AN/A00402459
2012-03-02$26.45$25.0019.2%5.5%11.5%12.3%0.0%-3.2%-5.1%-14.9K101.2K-2.1K0.00102.23N/AN/A00402459
2012-03-05$26.72$0.0019.3%5.2%11.9%12.4%0.0%3.5%5.5%-11.5K75.3K-2.0K0.00108.43N/AN/A20402459
2012-03-06$26.42$0.0016.8%4.7%12.5%7.1%18.7%1.5%6.8%-14.0K53.9K-2.2K0.00103.51N/AN/A015404459
2012-03-07$26.72$25.0018.6%5.7%12.7%11.1%0.0%5.6%2.8%-12.5K73.1K-2.0K3.7195.10N/AN/A726404474
2012-03-08$26.64$25.0024.6%4.0%12.7%23.9%0.0%-5.1%6.0%-14.9K89.6K-2.0K0.00110.89N/AN/A010404500
2012-03-09$26.42$25.0023.3%5.3%12.6%21.1%0.0%2.8%5.0%-17.7K116.1K-2.1K0.0099.14N/AN/A00404510
2012-03-12$26.51$25.0032.3%5.2%12.2%40.6%0.0%0.7%4.2%-16.4K113.7K-2.1K0.0098.73N/AN/A010404510
2012-03-13$27.05$25.0049.6%3.0%14.2%78.0%0.0%1.1%11.2%-11.6K47.3K-1.9K0.00105.05N/AN/A00404520
2012-03-14$26.61$25.0044.9%4.3%15.0%67.7%0.0%-1.8%4.2%-14.3K78.0K-2.1K0.00105.73N/AN/A200404520
2012-03-15$26.61$25.0014.8%4.2%14.2%2.8%0.0%1.9%6.4%-16.1K119.7K-2.0K0.00105.46N/AN/A040398520
2012-03-16$26.67$25.0014.7%4.2%14.1%2.5%0.0%0.4%4.6%-18.0K131.8K-2.2K0.00105.41N/AN/A010398560
2012-03-19$26.78$25.0017.8%5.1%14.1%9.2%0.0%1.5%6.7%-15.7K118.8K-2.1K0.00104.68N/AN/A00165413
2012-03-20$26.75$25.0017.2%4.9%14.1%7.9%0.0%3.8%4.6%-17.6K139.7K-2.1K0.00109.60N/AN/A025165413
2012-03-21$26.81$25.0014.9%4.3%14.0%3.1%0.0%0.7%10.6%-18.2K144.8K-2.4K0.00104.35N/AN/A00165438
2012-03-22$26.76$25.0015.5%4.4%12.8%4.3%0.0%1.6%7.3%-18.9K138.5K-2.3K0.00105.17N/AN/A00165438
2012-03-23$26.89$25.0019.4%5.6%13.0%12.8%0.0%3.8%-0.3%-17.1K125.7K-2.1K0.00115.74N/AN/A00165438
2012-03-26$27.33$25.0017.8%5.1%14.2%9.2%0.0%5.8%11.5%-15.3K78.1K-2.3K0.00107.40N/AN/A00165438
2012-03-27$27.07$25.0019.7%5.6%14.6%13.3%0.0%0.6%10.3%-14.8K87.8K-2.1K0.00113.21N/AN/A00165438
2012-03-28$27.25$25.0019.3%5.5%14.5%12.6%0.0%3.8%-4.0%-14.8K90.1K-2.1K0.00113.67N/AN/A00165438
2012-03-29$27.29$25.0022.1%6.3%14.5%18.5%0.0%4.1%3.8%-14.9K89.4K-1.9K0.00104.58N/AN/A10165438
2012-03-30$27.19$25.0022.0%6.3%14.4%18.4%0.0%3.1%-5.4%-13.8K80.1K-1.9K0.00104.25N/AN/A00166438